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As far as full sized distributions, with Mandrake listed above I also would recommend SuSe/Novell linux, and Knoppix (live bootable CD that works great considering it's running entirely from a CDROM, it also will install to a hard drive using a hard-to-find command). If you need more Windows program compatibility and don't mind paying for it, you might try Xandros because it includes "Crossover Office".
Depending on your location, you may pick it up on the front of a good computer magazine.
Thats how I got into Mandrake and then Smoothwall. Here in Australia are mini-books that often have Mandrake or Fedora on them.
The latest Mandrake runs into 4 CDs so have a look around your nearest bookshop.
I would suggest the you try first running a LiveCD. Basically, you download an ISO image and burn it to CD. Then, with the CD in the drive, reboot. If your computer is setup to boot from CD, then it will run the Linux distribution from the CD and you can try it out without even installing.
As to which one to choose, well, my preference is SimplyMepis. You can find download mirror links on mepis.org. Or go directly here (ibiblio) and download SimplyMEPIS-2004.04.iso.
Once you've downloaded the ISO, burn it to CD as a CD image (not as a file).
By the way, most Linux ISO images are 700 MB. Really BIG! for a dial-up and still pretty large even with broadband. Perhaps, if your connection is slow, it would be easier to have a friend with fast Internet access, download and burn it for you.
one more place to look for a good distro, in my opinion, is http://linux.org . they have a great listing of all sorts of distros, from those that fit on floppies to the more mainstream, five-cd distros.
Im going to use Slackware and the reason I was going to try out Linux is because I have a computer that I need to erase the hard drive and I wanted to try out something new instead of Windows, I also heard that Linux is a very stable OS that doesn't crash as often as Windows.